Massimiliano Caporin

University of Padua - Department of Statistical Sciences

Professor of Economic Statistics

Via Battisti, 241

Padova, 35121

Italy

SCHOLARLY PAPERS

76

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125

CROSSREF CITATIONS

171

Scholarly Papers (76)

1.

Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models

Number of pages: 29 Posted: 05 Feb 2009 Last Revised: 24 Jun 2009
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 1,079 (24,765)
Citation 18

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Conditional correlations, conditional covariances, diagonal models, forecasting, generalized models, Hadamard models, scalar models, targeting

Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models

Number of pages: 19 Posted: 07 Feb 2010
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 573 (57,984)
Citation 7

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Conditional Correlations, Conditional Covariances, Diagonal Models, Forecasting, Generalized Models, Hadamard Models, Scalar models, Targeting

Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models

Journal of Economic Surveys, Vol. 26, Issue 4, pp. 736-751, 2012
Number of pages: 16 Posted: 07 Aug 2012
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
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Asymptotic theory, Conditional correlations, Conditional covariances, Diagonal models, Scalar models, Targeting

3.

Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH

Number of pages: 50 Posted: 06 Aug 2008 Last Revised: 24 Jun 2009
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 537 (63,598)

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multivariate asymmetry, conditional variance, stationarity conditions, asymptotic theory, multivariate news impact curve

4.
Downloads 518 ( 66,519)
Citation 11

The Ten Commandments for Managing Investments

Number of pages: 6 Posted: 18 Feb 2009
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 516 (66,132)
Citation 7

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Ten Commandments, managing investments, investment rules, risk management, financial advisers, portfolio diversification

The Ten Commandments for Managing Investments

Journal of Economic Surveys, Vol. 24, Issue 1, pp. 196-200, February 2010
Number of pages: 5 Posted: 06 Jan 2010
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
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5.

A Generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation

University Ca' Foscari of Venice Economics Research Paper No. 53/06
Number of pages: 21 Posted: 30 Nov 2006
Monica Billio and Massimiliano Caporin
Ca Foscari University of Venice - Dipartimento di Economia and University of Padua - Department of Statistical Sciences
Downloads 480 (73,153)
Citation 10

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Dynamic correlations, Block-structures, Flexible correlation models

6.

Volatility Threshold Dynamic Conditional Correlations: An International Analysis

Forthcoming, Journal of Financial Econometrics
Number of pages: 45 Posted: 05 Mar 2007 Last Revised: 29 Oct 2012
Maria Kasch and Massimiliano Caporin
University of Mannheim - Department of Finance and University of Padua - Department of Statistical Sciences
Downloads 424 (84,809)
Citation 4

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Dynamic Correlations, Volatility Thresholds, Comovement, Contagion

A Scientific Classification of Volatility Models

Number of pages: 7 Posted: 10 Dec 2008 Last Revised: 24 Mar 2009
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 421 (84,773)

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Volatility, taxonomy, GARCH, stochastic volatility, realized volatility

A Scientific Classification of Volatility Models

Journal of Economic Surveys, Vol. 24, Issue 1, pp. 192-195, February 2010
Number of pages: 4 Posted: 06 Jan 2010
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 2 (799,307)
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8.

Ranking Multivariate GARCH Models by Problem Dimension

Number of pages: 107 Posted: 09 May 2010 Last Revised: 16 Oct 2010
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 387 (94,245)
Citation 15

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Covariance forecasting, model confidence set, model ranking, MGARCH, model comparison

9.

The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification

SAFE Working Paper No. 166
Number of pages: 63 Posted: 13 Feb 2017
Monica Billio, Massimiliano Caporin, Roberto Panzica and Loriana Pelizzon
Ca Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, Joint Research Center of the European Commission and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 357 (103,374)
Citation 10

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CAPM, volatility, network, interconnections, systematic risk

10.

Systemic Co-Jumps

SAFE Working Paper No. 149
Number of pages: 49 Posted: 15 Oct 2016
Massimiliano Caporin, Aleksey Kolokolov and Roberto Renò
University of Padua - Department of Statistical Sciences, University of Manchester - Manchester Business School and University of Verona - Department of Economics
Downloads 336 (110,623)
Citation 3

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Jumps, Return predictability, Systemic events, Variance Risk Premium

11.

Market Volatility, Optimal Portfolios and Naive Asset Allocations

Ca Foscari University of Venice Working Paper No. 08/WP/2012
Number of pages: 18 Posted: 10 Jul 2012 Last Revised: 03 Oct 2012
Massimiliano Caporin and Loriana Pelizzon
University of Padua - Department of Statistical Sciences and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 335 (111,050)

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mean reversion, strategy preference, 1/N, predictability, testing Sharpe equivalence

12.

On the Predictability of Stock Prices: A Case for High and Low Prices

Journal of Banking and Finance, Forthcoming
Number of pages: 42 Posted: 18 Jun 2011 Last Revised: 15 Jun 2013
Massimiliano Caporin, Angelo Ranaldo and Paolo Santucci de Magistris
University of Padua - Department of Statistical Sciences, University of St. Gallen and Aarhus University - CREATES
Downloads 334 (111,403)
Citation 2

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high and low prices, predictability of asset prices, range, fractional cointegration, exit/entry trading signals, chart/technical analysis

13.

Model Selection and Testing of Conditional and Stochastic Volatility Models

Number of pages: 30 Posted: 14 Sep 2010
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 334 (111,403)
Citation 3

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Volatility Model Selection, Volatility Model Comparison, Non-Nested Models, Model Confidence Set, Value-At-Risk Forecasts, Asymmetry, Leverage

14.

On the Evaluation of Marginal Expected Shortfall

Number of pages: 7 Posted: 17 Oct 2010
Massimiliano Caporin and Paolo Santucci de Magistris
University of Padua - Department of Statistical Sciences and Aarhus University - CREATES
Downloads 322 (115,887)
Citation 3

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Marginal Expected Shortfall, Log-Returns, Systemic Risk

15.

Block Structure Multivariate Stochastic Volatility Models

Number of pages: 35 Posted: 18 Dec 2009
Manabu Asai, Massimiliano Caporin and Michael McAleer
Soka University - Faculty of Economics, University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 314 (118,994)
Citation 5

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block structures; multivariate stochastic volatility; curse of dimensionality

Networks in Risk Spillovers: A Multivariate GARCH Perspective

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. No. 03/WP/ 2016
Number of pages: 52 Posted: 04 Mar 2016
Ca Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, Ca Foscari University of Venice - Dipartimento di Economia and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 174 (210,832)
Citation 4

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spatial GARCH, network, risk spillover, financial spillover

Networks in Risk Spillovers: A Multivariate GARCH Perspective

SAFE Working Paper No. 225
Number of pages: 86 Posted: 27 Aug 2018 Last Revised: 28 Aug 2018
Ca Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, Ca Foscari University of Venice - Dipartimento di Economia and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 130 (268,310)
Citation 3

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spatial GARCH; network; risk spillover; financial spillover

17.

Forecasting Realized (Co)Variances with a Block Structure Wishart Autoregressive Model

Number of pages: 30 Posted: 12 Oct 2008 Last Revised: 15 Jun 2013
Matteo Bonato, Massimiliano Caporin and Angelo Ranaldo
University of Johannesburg - Department of Economics and Econometrics, University of Padua - Department of Statistical Sciences and University of St. Gallen
Downloads 302 (124,080)
Citation 18

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realized volatility, forecasting, Value-at-Risk, Wishart

18.
Downloads 297 (126,280)
Citation 27

Measuring Sovereign Contagion in Europe

SAFE Working Paper No. 103
Number of pages: 92 Posted: 15 May 2015
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration, Free University of Bozen-Bolzano - Faculty of Economics and Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 152 (236,741)
Citation 14

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Sovereign Risk, Contagion, Disintegration

Measuring Sovereign Contagion in Europe

Number of pages: 246 Posted: 17 Mar 2012 Last Revised: 13 Mar 2014
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration, Free University of Bozen-Bolzano - Faculty of Economics and Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 127 (273,122)
Citation 4

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Sovereign Risk, Contagion

Measuring Sovereign Contagion in Europe

NBER Working Paper No. w18741
Number of pages: 58 Posted: 16 Sep 2020 Last Revised: 18 Mar 2021
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration, Free University of Bozen-Bolzano and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 18 (663,656)
Citation 10

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19.

Ensemble Properties of High Frequency Data and Intraday Trading Rules

Number of pages: 27 Posted: 09 Feb 2012 Last Revised: 18 Jul 2013
University of Padua, Prime Minister's Office, University of Padua - Department of Statistical Sciences, University of Padua and University of Padua
Downloads 279 (134,829)
Citation 3

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time series ensemble, trading rule, long memory

20.

Dynamic Principal Components: A New Class of Multivariate GARCH Models

Number of pages: 84 Posted: 04 Feb 2015
Gian Piero Aielli and Massimiliano Caporin
Independent and University of Padua - Department of Statistical Sciences
Downloads 259 (145,496)
Citation 2

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Spectral Decomposition, Principal Component Analysis, Orthogonal GARCH, Scalar BEKK, DCC, Multivariate GARCH, Two-step Estimation

21.

Comparing and Selecting Performance Measures for Ranking Assets

Number of pages: 35 Posted: 22 Apr 2009 Last Revised: 29 Jun 2009
Massimiliano Caporin and Francesco Lisi
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 252 (149,483)
Citation 7

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performance measurement, rank correlations, selecting performance measures, comparing performance measures, combining performance measures

22.

Precious Metals under the Microscope: A High-Frequency Analysis

University of St. Gallen, School of Finance Research Paper No. 2014/9, Forthcoming in Quantitative Finance
Number of pages: 30 Posted: 13 May 2013 Last Revised: 23 Jun 2014
Massimiliano Caporin, Angelo Ranaldo and Gabriel G. Velo
University of Padua - Department of Statistical Sciences, University of St. Gallen and University of Padua - Department of Economics
Downloads 245 (153,648)
Citation 2

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precious metals, high-frequency data, liquidity, commonality in liquidity, intradaily periodicity

Does Monetary Policy Impact International Market Co-Movement?

Paris December 2017 Finance Meeting EUROFIDAI - AFFI, Swiss Finance Institute Research Paper No. 17-47
Number of pages: 61 Posted: 29 May 2017 Last Revised: 04 Sep 2020
Massimiliano Caporin, Loriana Pelizzon and Alberto Plazzi
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and Swiss Finance Institute
Downloads 144 (247,603)

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Unconventional Monetary policy, Quantitative easing, Mundellian trilemma, Comovement, Sovereign credit risk

Does Monetary Policy Impact International Market Co-Movements?

SAFE Working Paper No. 276
Number of pages: 61 Posted: 14 May 2020 Last Revised: 08 Sep 2020
Massimiliano Caporin, Loriana Pelizzon and Alberto Plazzi
University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and Swiss Finance Institute
Downloads 66 (415,995)

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Unconventional Monetary policy, Quantitative easing, Mundellian trilemma, Comovements, Sovereign credit risk

24.

Any Role for Mean Reversion in Short Term Asset Allocation?

Number of pages: 37 Posted: 17 Feb 2009
Massimiliano Caporin, Frans de Roon and Loriana Pelizzon
University of Padua - Department of Statistical Sciences, Tilburg University - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 207 (180,461)

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mean reversion, strategy preference, 1/N, predictability, testing Sharpe equivalence

25.

Equity and CDS Sector Indices: Dynamic Models and Risk Hedging

Number of pages: 27 Posted: 03 Jun 2012
Massimiliano Caporin
University of Padua - Department of Statistical Sciences
Downloads 204 (182,906)

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optimal hedge ratios, equity risk hedging, bond risk, CDS index, VIX index, economic sectors

26.

On the (Ab)Use of Omega?

University Ca' Foscari of Venice, Dept. of Economics Working Paper Series No. 02/WP/2015
Number of pages: 73 Posted: 03 Feb 2015 Last Revised: 12 Jul 2016
University of Padua - Department of Statistical Sciences, Ca' Foscari University of Venice, University Paris-1 Panthéon-Sorbonne and EMLyon Business School (Paris Campus)
Downloads 186 (198,858)
Citation 1

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Performance Measure, Omega, Return Distribution, Risk, Stochastic Dominance

27.

Market Linkages, Variance Spillovers and Correlation Stability: Empirical Evidences of Financial Contagion

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 18-07
Number of pages: 103 Posted: 09 Oct 2007
Monica Billio and Massimiliano Caporin
Ca Foscari University of Venice - Dipartimento di Economia and University of Padua - Department of Statistical Sciences
Downloads 185 (199,848)
Citation 1

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Financial market contagion, Market linkages, Variance spillovers, Dynamic correlations, Rolling correlations, Transformed correlations

28.

The Evolution of Shadow Banking System in Emerging Economies: The Role of Entrusted Loans in China’s Capital Market

Number of pages: 41 Posted: 29 May 2018
Mayank Gupta and Massimiliano Caporin
Cass Business School City University London and University of Padua - Department of Statistical Sciences
Downloads 181 (203,681)

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China, Shadow Banking, Banks, Stress Tests, Off-Balance Sheet Investment Vehicles

29.

Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options

Number of pages: 38 Posted: 30 Sep 2010
Massimiliano Caporin, Juliusz Pres and Hipòlit Torró
University of Padua - Department of Statistical Sciences, Szczecin University of Technology and University of Valencia
Downloads 178 (206,648)
Citation 1

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weather derivatives, Quanto options pricing, derivative pricing, model simulation and forecast

30.

CDS Industrial Sector Indices, Credit and Liquidity Risk

Ca’ Foscari University of Venice Working Paper No. 09/WP/2012
Number of pages: 26 Posted: 10 Jul 2012
Monica Billio, Massimiliano Caporin, Loriana Pelizzon and Domenico Sartore
Ca Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Faculty of Economics and Business Administration and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 175 (209,716)
Citation 2

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credit risk, common factors, liquidity risk

31.

Memory Time-Varying Models for Weather Derivative Pricing

Number of pages: 61 Posted: 05 Jan 2009 Last Revised: 16 Dec 2009
Massimiliano Caporin and Juliusz Pres
University of Padua - Department of Statistical Sciences and Szczecin University of Technology
Downloads 172 (212,831)

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weather derivatives, long memory, time-varying long memory, derivative pricing, model simulation and forecast

32.

Structured Multivariate Volatility Models

Number of pages: 39 Posted: 21 Dec 2008 Last Revised: 29 Jun 2009
Massimiliano Caporin and Paolo Paruolo
University of Padua - Department of Statistical Sciences and Joint Research Center of the European Commission
Downloads 165 (220,512)
Citation 3

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MGARCH, Stochastic Volatility, Realized Volatility, Spatial models, ANOVA

33.

Modelling and Forecasting Wind Speed Intensity for Weather Risk Management

Number of pages: 37 Posted: 09 Dec 2009 Last Revised: 17 Dec 2009
Massimiliano Caporin and Juliusz Pres
University of Padua - Department of Statistical Sciences and Szczecin University of Technology
Downloads 161 (225,068)
Citation 4

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Gamma Auto Regressive, Auto Regressive Gamma, ARFIMA-FIGARCH, wind speed modeling, wind speed simulation

Comparing and Selecting Performance Measures Using Rank Correlations

Economics: The Open-Access, Open-Assessment E-Journal, Vol. 5, 2011-10
Number of pages: 36 Posted: 15 Dec 2011
Massimiliano Caporin and Francesco Lisi
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 88 (351,843)
Citation 1

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performance measurement, rank correlations, comparing performance measures

Comparing and Selecting Performance Measures Using Rank Correlations

Economics Discussion Paper No. 2011-14
Number of pages: 31 Posted: 08 Jun 2011
Massimiliano Caporin and Francesco Lisi
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 71 (399,713)
Citation 1

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performance measurement, rank correlations, comparing performance measures

35.

Estimation and Model-Based Combination of Causality Networks

SAFE Working Paper No. 165
Number of pages: 95 Posted: 02 Feb 2017
Giovanni Bonaccolto, Massimiliano Caporin and Roberto Panzica
University "Kore" of Enna, University of Padua - Department of Statistical Sciences and Joint Research Center of the European Commission
Downloads 148 (241,433)

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Granger Causality, Quantile Causality, Multi-Layer Network, Network Combination

36.

On the Role of Risk in the Morningstar Rating for Mutual Funds

Number of pages: 24 Posted: 22 May 2009 Last Revised: 12 Oct 2009
Francesco Lisi and Massimiliano Caporin
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 144 (246,920)

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Rater agreement, beta-equivalence, mutual funds, Morningstar rating

37.

Proximity-Structured Multivariate Volatility Models

Number of pages: 30 Posted: 21 May 2009 Last Revised: 14 May 2013
Massimiliano Caporin and Paolo Paruolo
University of Padua - Department of Statistical Sciences and Joint Research Center of the European Commission
Downloads 141 (251,123)
Citation 5

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MGARCH, Stochastic Volatility, Realized Volatility, spatial models, ANOVA

38.

Methodological Aspects of Time Series Back-Calculation

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 56/06
Number of pages: 17 Posted: 12 Dec 2006
Massimiliano Caporin and Domenico Sartore
University of Padua - Department of Statistical Sciences and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 141 (251,123)
Citation 7

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benchmarking, retropolation, historical reconstruction, back-forecasting, missing past values, aggregation, disaggregation

39.

Conditional Jumps in Volatility and Their Economic Determinants

Number of pages: 42 Posted: 09 Sep 2011
Massimiliano Caporin, Eduardo Rossi and Paolo Santucci de Magistris
University of Padua - Department of Statistical Sciences, Department of Economics and Management and Aarhus University - CREATES
Downloads 138 (255,400)
Citation 8

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volatility, jumps in volatility, realized range, HAR

40.

Currency Hedging Strategies, Strategic Benchmarks and the Global and Euro Sovereign Financial Crises

Number of pages: 72 Posted: 09 Oct 2013 Last Revised: 23 Oct 2013
University of Padua - Department of Statistical Sciences, Complutense University of Madrid and Universidad Rey Juan Carlos
Downloads 133 (262,774)

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Multivariate GARCH, conditional correlations, currency futures, optimal hedge ratios, hedging strategies.

41.

Realized Range Volatility Forecasting: Dynamic Features and Predictive Variables

Number of pages: 32 Posted: 09 Sep 2013
Massimiliano Caporin and Gabriel G. Velo
University of Padua - Department of Statistical Sciences and University of Padua - Department of Economics
Downloads 132 (264,242)

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Realized Range Volatility, Long-memory, Volatility forecasting, Macroeconomic variables

42.

Systemic Risk for Financial Institutions of Major Petroleum-Based Economies: The Role of Oil

SAFE Working Paper No. 172
Number of pages: 56 Posted: 14 Jun 2017 Last Revised: 10 Nov 2017
King Fahd University of Petroleum & Minerals (KFUPM), University of Padua - Department of Statistical Sciences, Ca' Foscari University of Venice and Montpellier Business School
Downloads 129 (268,860)

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Systemic Risk, Risk Measurement, VaR, ΔCoVaR, Oil, Financial Institutions, Petroleum-based Economies

43.

Multi-Jumps

Number of pages: 63 Posted: 30 Aug 2014
Massimiliano Caporin, Aleksey Kolokolov and Roberto Renò
University of Padua - Department of Statistical Sciences, University of Manchester - Manchester Business School and University of Verona - Department of Economics
Downloads 125 (275,288)
Citation 1

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multi-jumps, co-jumps, price jumps, multivariate jumps, jumps testing

44.

Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 19-07
Number of pages: 32 Posted: 09 Oct 2007
Monica Billio, Massimiliano Caporin and Guido Cazzavillan
Ca Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences and Ca Foscari University of Venice - Dipartimento di Economia
Downloads 125 (275,288)

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Business cycle, Chronology, Historical reconstruction, Monthly GDP

45.

The Cross-Section of Expected Jumps in Equity Returns

Number of pages: 34 Posted: 29 Aug 2018 Last Revised: 04 Sep 2019
Massimiliano Caporin, Walter Distaso and Nancy Zambon
University of Padua - Department of Statistical Sciences, Imperial College Business School and University of Padua - Department of Economics
Downloads 123 (278,662)

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jumps, equity returns, risk premia

46.

A Conditional CAPM Model with Local Covariates for Detecting and Evaluating Active Management

Number of pages: 31 Posted: 27 Sep 2009
Massimiliano Caporin and Francesco Lisi
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 122 (280,340)

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conditional CAPM, time-varying parameters, local covariates, mutual funds

47.

Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators

Number of pages: 55 Posted: 13 May 2011
Gian Piero Aielli and Massimiliano Caporin
Independent and University of Padua - Department of Statistical Sciences
Downloads 116 (290,580)
Citation 4

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dynamic conditional correlations, time series clustering, multivariate GARCH, composite likelihood

48.

The Long-Run Oil-Natural Gas Price Relationship and the Shale Gas Revolution

Number of pages: 24 Posted: 15 Jul 2015
Massimiliano Caporin and Fulvio Fontini
University of Padua - Department of Statistical Sciences and University of Padova - Department of Economics and Management "Marco Fanno"
Downloads 113 (295,882)
Citation 2

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Shale Gas, Natural Gas, Crude Oil, Cointegration, Vector Error Correction Models

49.

Risk Spillovers in International Equity Portfolios

Number of pages: 32 Posted: 17 Jul 2011 Last Revised: 11 Mar 2012
Matteo Bonato, Massimiliano Caporin and Angelo Ranaldo
University of Johannesburg - Department of Economics and Econometrics, University of Padua - Department of Statistical Sciences and University of St. Gallen
Downloads 111 (299,642)

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Risk spillover, portfolio risk, currency risk, variance forecasting, international portfolio, Wishart distribution

50.

Asset Allocation Strategies Based on Penalized Quantile Regression

Number of pages: 34 Posted: 03 Jul 2015
Giovanni Bonaccolto, Massimiliano Caporin and Sandra Paterlini
University "Kore" of Enna, University of Padua - Department of Statistical Sciences and University of Trento - Department of Economics and Management
Downloads 105 (311,337)
Citation 4

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Quantile regression, l1-norm penalty, pessimistic asset allocation

51.

Modeling and Forecasting Realized Range Volatility

Marco Fanno Working Paper No. 128-2011
Number of pages: 10 Posted: 06 Feb 2011
Massimiliano Caporin and Gabriel G. Velo
University of Padua - Department of Statistical Sciences and University of Padua - Department of Economics
Downloads 98 (325,864)
Citation 1

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Statistical analysis of financial data, Econometrics, Forecasting methods, Time series analysis, Realized Range Volatility, Realized Volatility, Long-memory, Volatility forecasting

52.

Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500

Number of pages: 45 Posted: 02 Oct 2014
Massimiliano Caporin, Luca Corazzini and Michele Costola
University of Padua - Department of Statistical Sciences, University of Padua - Department of Economics and Ca' Foscari University of Venice
Downloads 87 (351,254)
Citation 1

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investment decision, behavioral agents, mixture model, behavioral expectations

53.

Decomposing and Backtesting a Flexible Specification for CoVaR

Number of pages: 44 Posted: 05 Dec 2017
Giovanni Bonaccolto, Massimiliano Caporin and Sandra Paterlini
University "Kore" of Enna, University of Padua - Department of Statistical Sciences and University of Trento - Department of Economics and Management
Downloads 86 (353,688)
Citation 2

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CoVaR, CaViaR, Systemic Risk, Backtest, Decomposition

54.

Time-Varying Persistence in US Inflation

Number of pages: 20 Posted: 09 Oct 2014
Massimiliano Caporin and Rangan Gupta
University of Padua - Department of Statistical Sciences and University of Pretoria - Department of Economics
Downloads 78 (374,838)

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Persistence, US Inflation Rate, Time-Varying Long Memory

55.

Chasing Volatility: A Persistent Multiplicative Error Model with Jumps

Number of pages: 50 Posted: 30 Aug 2014
Massimiliano Caporin, Eduardo Rossi and Paolo Santucci de Magistris
University of Padua - Department of Statistical Sciences, Department of Economics and Management and Aarhus University - CREATES
Downloads 74 (386,117)
Citation 3

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Multiplicative Error Model with Jumps, Jumps in volatility, Realized measures, Volatility-at-Risk

56.

A Forecast Based Comparison of Restricted Realized Covariance Models

Number of pages: 35 Posted: 24 Feb 2010
Massimiliano Caporin, Angelo Ranaldo and Matteo Bonato
University of Padua - Department of Statistical Sciences, University of St. Gallen and University of Johannesburg - Department of Economics and Econometrics
Downloads 73 (389,051)

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Realized covariance, WAR, HAR, multivariate volatility forecasts

57.

Backward/Forward Optimal Combination of Performance Measures for Equity Screening

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 13
Number of pages: 31 Posted: 29 Jul 2012
Monica Billio, Massimiliano Caporin and Michele Costola
Ca Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences and Ca' Foscari University of Venice
Downloads 72 (392,020)
Citation 3

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performance measures, combining performance measures, portfolio

58.

Modelling and Forecasting the Realized Range Conditional Quantiles

Number of pages: 42 Posted: 12 Oct 2014
Giovanni Bonaccolto and Massimiliano Caporin
University "Kore" of Enna and University of Padua - Department of Statistical Sciences
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Realized Range Volatility, Quantile regression, Volatility quantiles forecasting

59.

The Value of Protecting Venice from the Acqua Alta Phenomenon Under Different Local Sea Level Rises

Number of pages: 20 Posted: 20 Feb 2014
Massimiliano Caporin and Fulvio Fontini
University of Padua - Department of Statistical Sciences and University of Padova - Department of Economics and Management "Marco Fanno"
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Acqua Alta, Local Sea Level Rise, Cost-Benefit

60.

Backard/Forward Optimal Combination of Performance Measures for Equity Screening

Number of pages: 31 Posted: 12 Jul 2012
Monica Billio, Massimiliano Caporin and Michele Costola
Ca Foscari University of Venice - Dipartimento di Economia, University of Padua - Department of Statistical Sciences and Ca' Foscari University of Venice
Downloads 64 (417,245)

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performance measures, combining performance measures, portfolio allocation, equity screening, differential evolution

61.

Misspecification Tests for Periodic Long Memory GARCH Models

Number of pages: 19 Posted: 06 Aug 2008
Massimiliano Caporin and Francesco Lisi
University of Padua - Department of Statistical Sciences and University of Padua - Department of Statistical Sciences
Downloads 60 (430,965)

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Long Memory, Generalized Long Memory GARCH models, PLM- GARCH models, misspecification tests

62.

Analytical Gradients of Dynamic Conditional Correlation models

Number of pages: 15 Posted: 22 Jan 2011 Last Revised: 14 Jun 2011
Massimiliano Caporin
University of Padua - Department of Statistical Sciences
Downloads 59 (434,561)

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DCC, cDCC, analytical gradient

63.

Fast Clustering of GARCH Processes Via Gaussian Mixture Models

Number of pages: 28 Posted: 03 Jun 2012
Gian Piero Aielli and Massimiliano Caporin
Independent and University of Padua - Department of Statistical Sciences
Downloads 56 (445,421)

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Gaussian Mixtures, financial time series clustering, Multivariate GARCH, block structures

64.

Asymmetry and Uncertainty Across Energy and FX Markets

Number of pages: 33 Posted: 11 Nov 2014
Ahmed A.A. Khalifa, Massimiliano Caporin and Shawkat M. Hammoudeh
King Fahd University of Petroleum & Minerals (KFUPM), University of Padua - Department of Statistical Sciences and Montpellier Business School
Downloads 44 (493,476)

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Asymmetry, Interdependence, Uncertainty, Business cycle, Energy, FX

65.

Estimating Financial Networks by Realized Interdependencies: A Restricted Autoregressive Approach

Number of pages: 42 Posted: 09 Apr 2021
Massimiliano Caporin, Deniz Erdemlioglu and Stefano Nasini
University of Padua - Department of Statistical Sciences, IESEG School of Management, LEM-CNRS 9221, France and IESEG School of Management
Downloads 42 (502,344)

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Financial networks, Financial interconnectedness, High-dimensional VARs, Realized volatility, Stock market, High-frequency data

66.

Do Jumps Matter in Realized Volatility Modeling and Forecasting? Empirical Evidence and a New Model

Number of pages: 103 Posted: 06 Aug 2020
Massimiliano Caporin
University of Padua - Department of Statistical Sciences
Downloads 38 (521,095)

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jumps, staleness, HAR, forecasting, Realized Volatility

67.

Rational Learning for Risk-Averse Investors by Conditioning on Behavioral Choices

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 16/WP/2015
Number of pages: 37 Posted: 17 Jun 2015
Michele Costola and Massimiliano Caporin
Ca' Foscari University of Venice and University of Padua - Department of Statistical Sciences
Downloads 37 (525,902)

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learner agent, investment decision, behavioral agents, Bayesian updating

68.

Option Pricing with Anomalous Scaling and Infinite-State Switching Volatility

Number of pages: 53 Posted: 03 Jun 2013
University of Padua, University of Padua - Department of Statistical Sciences, University of Padua, University of Padua and Human Genetics Foundation
Downloads 35 (536,018)
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option pricing, anomalous scaling, Markov switching, GARCH

69.

Estimating Time-Varying Networks With a State-Space Model

Number of pages: 34 Posted: 08 Feb 2021
Shaowen Liu, Massimiliano Caporin and Sandra Paterlini
University of Padova - Department of Statistical Sciences, University of Padua - Department of Statistical Sciences and University of Trento - Department of Economics and Management
Downloads 34 (541,260)

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state-space mode, dynamic network, spatial dependence, sequential fiters

70.

A Note on Calculating Autocovariances of Long-Memory Processes

Number of pages: 6 Posted: 23 Jun 2003
Stefano Bertelli and Massimiliano Caporin
affiliation not provided to SSRN and University of Padua - Department of Statistical Sciences
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71.

Price Convergence within and between the Italian Electricity Day-Ahead and Dispatching Services Markets

Number of pages: 48 Posted: 11 Feb 2018
Massimiliano Caporin, Fulvio Fontini and Paolo Santucci de Magistris
University of Padua - Department of Statistical Sciences, University of Padova - Department of Economics and Management "Marco Fanno" and Aarhus University - CREATES
Downloads 21 (620,394)

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zonal prices, convergence between zones, convergence within zones, fractional cointegration, long-run equilibrium

72.

Rational Learning for Risk-Averse Investors by Conditioning on Behavioral Choices (Web Appendix)

Number of pages: 35 Posted: 07 Nov 2015
Michele Costola and Massimiliano Caporin
Ca' Foscari University of Venice and University of Padua - Department of Statistical Sciences
Downloads 16 (655,643)

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combining performance measures, portfolio allocation, learning agent process

73.

Measuring the Behavioural Component of the S&P 500 and its Relationship to Financial Stress and Aggregated Earnings Surprises

British Journal of Management, Vol. 30, Issue 3, pp. 712-729, 2019
Number of pages: 18 Posted: 05 May 2020
Massimiliano Caporin, Luca Corazzini and Michele Costola
University of Padua - Department of Statistical Sciences, Ca Foscari University of Venice - Dipartimento di Economia and Ca' Foscari University of Venice
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74.

A Survey on the Four Families of Performance Measures

Journal of Economic Surveys, Vol. 28, Issue 5, pp. 917-942, 2014
Number of pages: 26 Posted: 28 Oct 2014
University of Padua - Department of Statistical Sciences, University Paris-1 Panthéon-Sorbonne, University of Padua - Department of Statistical Sciences and EMLyon Business School (Paris Campus)
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Citation 4
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Fund selection, Performance measures, Ranking, Return Distribution, Risk

75.

Evaluating Value-at-Risk Measures in Presence of Long Memory Conditional Volatility

Journal of Risk, Vol. 10, No. 3, 2008
Posted: 29 Dec 2008
Massimiliano Caporin
University of Padua - Department of Statistical Sciences

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long memory, Value-at-Risk, loss functions, capital charges

76.

Dynamic Asymmetric Garch

Journal of Financial Econometrics, Vol. 4, Issue 3, pp. 385-412, 2006
Posted: 29 Feb 2008
Massimiliano Caporin and Michael McAleer
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute

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asymmetric volatility, DAGARCH, stationarity conditions, threshold GARCH